Ahh don't worry we were all there once (some of us still are) but I would move out of manual and go to shutter priority mode (simpler to start with) though I don't know what the symbol is for nikkon. Once in that the next thing is lighting - these shots need a longer exposure as you say so more light is going to get onto the sensor - do that at midday and you will get way too much overexposure. Best times are early morning or late evening (around sunrise/set) when there is light, but not too much.
Then you can start playing around. In shutter priority mode you only change the shutter speed manually and the apature is set by the camera. Set your ISO to 100 and try out the shutter settings (that is as far as I know there might be some magic numbers to get the effect but chances are its a range as different lighting conditions would mean different speeds would be needed
edit -- oh yes a tipod - a good solid one - is essential and used the timed shutter release as well - then there is no wabble from you pressing the shutter button!

Yes. "4" is 1/4 of a second on my Canon, so it looks like your Nikon is following the same format, so you would want around 4 or lower. Whichever direction you move to go from 20 to 4, keep going in that direction, and the longer the shutter speed, the "silkier" the effect with the water.

Of course any time you go slower you will have to adjust the aperture or use a ND filter to hold back the light, unless you go early morning or later in the day like the other poster said.

Edit - also you may want to check your manual to confirm the shutter speed designations - it will explain to you the format.

That's probably about a full second exposure. For best results you'll need a tripod, a remote release or just the timer mode, at least a 3-stop neutral density filter to slow down the exposure, and then try not to stop down past f/11 and see how it works. You can stop your lens down as far as it'll go too, but then everything else around the water will look soft due to diffraction and you want that stuff sharp. that's where the ND filter will come in handy. Allows longer exposures for daytime shooting like this.

Edit: I see you've got a D40 too. Here the extra base ISO speed of 200 vs 100 actually hurts you for slow daytime exposures, so you might want to throw in another stop on the ND filter and make it a 4-stop, heh heh. If you take a regular daytime shot of the waterfall in typical conditions, you can figure out from the exposure you get how much you'll need to slow things down by.

Here's what you need to do. first off if you do not have a reliable tripod you need to go out and get one. Next at around 4:00-5:00 PM (depending on wht time it gets dark near you I am going by 8:30 or so here) pack up all your gear and the biggest memory card you have (plan to fill it). Starting several hours before sunset start shooting shoot with all your lenses and apropriate accessories, as far as settings a good place to start might be aperture priority or manual setting your aperture around F/16 or F/22 and seeing what kind of shutter speed you get in my opinion anything below 1/15th will be adequate but you will notice the speeds getting slower as the time progresess and this will be good because the slower your shutter speed the silkier you image will get. I think by the time you start to run out of light (7:30-8:30???) you should have many very useable images now with the rest of your day go home and downlad you images and start the PP fun.

I'm pretty sure the first number (20) is the shutter speed... so is a long shutter speed a HIGH number or a low number???

Click to expand...

So the Shutter Speed controls the time the shutter open and closes. To get a Blur Effect you might want to shoot at 1/15, 1/30....to freez the action anything from 1/125 and up would do it... so I guess you need a lower nomber to accomplish what you want to do.
Good Luck!